Currently it starts in user's home.
Perhaps it could start in the dir where current editor's file is located. But it's not always possible (jars, non-file windows etc.).
I like the approach that the terminal should start in the currently selected project folder. If you want that feature, you should definetly checkout the Plugin "TerminalExtras" (http://plugins.netbeans.org/plugin/40301/terminalextras). It gives you the possibilty to jump into any directory (on the NetBeans terminal) that you have selected in your project list by simply hitting "Alt" + "." on your keyboard.